Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz

摘要

In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.